All the headings I'm using have been assigned Heading 1, Heading 2, or Heading 3 in the styles panel. My understanding is that this should all that is needed to make the bookmarks work.

Which headings are missing is inconsistent--or at least, I haven't found a pattern yet. In some cases, several Heading 1 entries are missing, but others are present. In other cases, it's Heading 2s that are missing, but again, not all of them. I haven't yet found a case where any Heading 3s are missing.